Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.4 +8.7%
- Euro/Yen Carry Return Index 130.92 -.15%
- Emerging Markets Currency Volatility(VXY) 10.80 +1.31%
- S&P 500 Implied Correlation 56.40 +2.51%
- ISE Sentiment Index 67.0 -33.66%
- Total Put/Call .78 -21.21%
- NYSE Arms 1.77 +61.26%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.88 +1.95%
- America Energy Sector High-Yield CDS Index 1,060.0 +2.14%
- European Financial Sector CDS Index 86.27 +5.42%
- Western Europe Sovereign Debt CDS Index 26.48 +.17%
- Asia Pacific Sovereign Debt CDS Index 57.95 +3.27%
- Emerging Market CDS Index 286.44 +1.02%
- iBoxx Offshore RMB China Corporate High Yield Index 127.13 +.02%
- 2-Year Swap Spread 13.0 -.5 basis point
- TED Spread 40.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.25 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.45 -.18%
- 3-Month T-Bill Yield .24% +1.0 basis point
- Yield Curve 107.0 +1.0 basis point
- China Import Iron Ore Spot $66.07/Metric Tonne -.37%
- Citi US Economic Surprise Index -25.10 unch.
- Citi Eurozone Economic Surprise Index -15.80 +1.4 points
- Citi Emerging Markets Economic Surprise Index 16.40 +.4 point
- 10-Year TIPS Spread 1.66% +1.0 basis point
- 21.6% chance of Fed rate hike at June 15 meeting, 33.9% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +40 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating +26 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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